class MyEventSubscriber implements EventSubscriberInterface {
  static function getSubscribedEvents() {
    $events[KernelEvents::RESPONSE][] = ['onResponse'];
    return $events;
  }
  public function onResponse(FilterResponseEvent $event) {
    $request = $event->getRequest();
    $response = $event->getResponse();

    $parameter_value = $request->query->get('parameter_name');
    $response->headers->setCookie(new Cookie('cookie_name', 'cookie_value'));
  }
}

MYMODULE.my_event_subscriber:
  class: DrupalMYMODULEEventSubscriberMyEventSubscriber
  arguments: []
  tags:
    - { name: event_subscriber }